Consider a CAPM universe. The variance of the return on the factor portfolio is .03. The beta of a well-diversified portfolio is 1.5. The variance of the return of the well-diversified portfolio is

"The characteristics of two stocks traded in the economy are as follows: Stock A, expected return=13%, standard deviation=60%; Stock B, expected return=8%, standard deviation=40%. Correlation between A and B is -1. If the market risk premium is 4%, what is the expected return for a portfolio with a beta of 2 in a CAPM universe?"

		15%
		18%
		20%
		None of the above